Mega Man X4: X's Ultimate armor
Highlight X at the player selection screen. Press [Circle], [Circle], [Left], [Left], [Left], [Left], [Left], [Left], then hold [L1] + [R2] and press Start. Note: Hold [L1] + [R2] until game play begins at a screen with all the Bosses. Complete the first level and go to the spider stage. Go to the part with a spike spinning on platform. Go down to space below and go all the way to the right. The UA capsule with the armor will be there.

Mega Man X5: Megaman's Ultimate armor
Highlight Megaman at the character select screen, then press [Up], [Up], [Down], [Down], [Down], [Down], [Down], [Down], [Down], [Down], [Down]. A sound will confirm correct code entry. You will start the game with the Ultimate armor and always have it for use through the rest of the game.

Mega Man X6: X's Ultimate Armor
Highlight the "Game Start" option at the Mega Man X6 main menu, then press [Left], [Left], [Left], [Right] before starting a new game. A sound will confirm correct code entry. You will begin the game with X's Ultimate Armor, which is very much identical to the same armor from Megaman X5.

Mega Man X6: Nightmare Zero
Highlight the "Game Start" option at the Mega Man X6 main menu, then press [L1], [L1], [L1], [R2] at the main menu. A sound will confirm correct code entry. Start a new game. When you rescue Zero after defeating him in battle, you will play as the Nightmare version of Zero. Nightmare Zero has all of Zero's normal moves, but he is much more powerful.